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OmniTrader 2013 Technical Support
"Use DSS Results" has no effect in PortSim
Last Activity 9/16/2017 11:23 AM
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Steve Luerman

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Subject : "Use DSS Results" has no effect in PortSim
Posted : 2/3/2013 11:06 PM
Post #27844

Portfolio Simulation has a new "Use DSS Results" checkbox. My interpretation of the "Help" description is that by selecting this checkbox, the DSS results will be used during the PortSim analysis. I assume this negates the "Trade Selection" (last tab in Portfolio Simulation settings). And, deselecting "Use DSS Results" and re-running the simulation will select trades based on "Trade Selection" settings, rather than the DSS order.

As far as I can tell, this checkbox has NO effect on the results. The trades are ordered by DSS regardless of whether this box is checked or not.

Steve

[Edited by Steve Luerman on 2/3/2013 11:08 PM]

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Barry Cohen

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Subject : RE: "Use DSS Results" has no effect in PortSim
Posted : 2/4/2013 10:11 AM
Post #27847 - In reply to #27844

You have to have processed DSS in your ToDo List analysis for it to work. If DSS has not been processed the results in Port Sim will be the same. Also it's possible that the DSS analysis could match the regular analysis & then Port Sim would still be the same. If you're looking at the Focus List, press the DSS button & press it again. Do you see the analysis change?
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Steve Luerman

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Subject : RE: "Use DSS Results" has no effect in PortSim
Posted : 2/4/2013 10:27 AM
Post #27849 - In reply to #27847

Hi Barry,
I started with a Focus List that did NOT have DSS activated in the ToDoList DSS tab. I observed the PortSim results. THEN, I activated DSS in the FocusList ToDoList DSS tab. Reran the analysis, went to PortSim, and compared that with what I had earlier. And the results changed as a result from the non-DSS simulation done before I activated DSS. DSS improved the results.

But, checking/unchecking the "Use DSS results" checkbox, and then rerunning the simulation does not result in any change in the results. NOTE: I could go back to the FocusList and deactivate DSS, and then rerun the analysis, and then return to PortSim, and observe the results without DSS. But in that case, the "Use DSS results" checkbox isn't available, because DSS has been deactivated in the FocusList ToDoList DSS tab.

You asked: "If you are looking at the Focus List, press the DSS button and press it again. Do you see the analysis change?"

I'm not sure which button you are referring to. I'm referring to the "Use DSS results" button in PortSim mode. Toggling it, and rerunning the PortSim does not have any effect. But I agree, that activating/deactivating DSS in the FocusList ToDoList DSS tab does change the results.

My point is the button in PortSim does not produce any change when deactivated. As far as I can tell, it is ALWAYS active if DSS is activated in the FocusList ToDoList DSS tab. And by the way, the "Use DSS results" button is only available if DSS has been activated.

Steve
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Barry Cohen

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Subject : RE: "Use DSS Results" has no effect in PortSim
Posted : 2/4/2013 11:26 AM
Post #27851 - In reply to #27849

What you describe is the correct behavior.

Activating DSS in the ToDo List DSS tab enables the option in the Actions tab, in reports, in PortSim, & adds the button in the Focus List.

Then if you want DSS results, you must run the analysis & process DSS, regardless if the FL button is pushed or not.


My point is the button in PortSim does not produce any change when deactivated.


You do have to rerun the analysis in PortSim to see the difference, but it will only show a difference if DSS has been processed in Real Mode AND if the DSS results are different than the regular analysis results.

As far as I can tell, it is ALWAYS active if DSS is activated in the FocusList ToDoList DSS tab.


That is correct, but DSS still must be processed to use it. Activating it only enables the feature.

And by the way, the "Use DSS results" button is only available if DSS has been activated.


Right, there is no reason to have it there if it isn't activated.

So to be clear:

- Activating DSS in the ToDo List enables DSS in several locations within OT.

- DSS analysis must still be processed from the ToDo List if DSS results are to be seen.

- Pushing the DSS button at the top of the FL only switches between the regular analysis & the DSS analysis. DSS can be processed if the button is pushed in or not.

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Steve Luerman

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Subject : RE: "Use DSS Results" has no effect in PortSim
Posted : 2/6/2013 3:41 PM
Post #27867 - In reply to #27851

Hi Barry,
I just watched Jeff Drake's webinar (thanks for that link) showing how Swing-13 works with DSS. That webinar clarified for me how DSS interacts with PortSim. I had made an incorrect assumption. I assumed the DSS sort ordering was used in PortSim. But obviously that is incorrect.

From my viewpoint, DSS incorporates two ideas. The first is a sorting of the signals by some criteria, e.g. relative strength. The second is a filter which only permits certain number of long and short signals through, based on some criteria (possibly/probably different than the sort criteria).

This set of filtered signals, is then passed on to PortSim, where the PortSim selection criteria are applied. My mistake was assuming that the "sort order" done by DSS part 1 (e.g. relative strength) would control the order in which trades were selected in PortSim. I assumed selecting "Use DSS results" overrode the PortSim trade selection criteria. But really, what it does is apply the 2nd DSS concept, which is to only permit a predetermined number of long and short signals based on some criteria. And then that filtered list is processed by PortSim's selection criteria, with no consideration given to the DSS sort order.

(Edit)
NOTE: Of course the PortSim "trade selection criteria" only matter when the number of trades passing the DSS filter are sufficient to exceed the available buying power.
(end edit)

So, you can consider this thread closed.

Thanks,
Steve

[Edited by Steve Luerman on 2/6/2013 3:45 PM]

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Jim Dean

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Subject : RE: "Use DSS Results" has no effect in PortSim
Posted : 2/6/2013 3:47 PM
Post #27868 - In reply to #27867

Hi Steve

I was surprised that you said that only the number-of-trades aspect of DSS affects PS. I thot that the DSS ranking also was active in the selection process.

In fact I wondered if the DSS ranking and directional filtering took precedence over the legacy PS selection rules, or vice versa.

How did you arrive at the conclusion that DSS ranking does not affect PS?

Or maybe I misunderstood you
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Steve Luerman

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Subject : RE: "Use DSS Results" has no effect in PortSim
Posted : 2/6/2013 4:04 PM
Post #27869 - In reply to #27868

Hi Jim,
I have a profile which contains many of the RTM strategies. It generates a LOT of signals. DSS part 1 (i.e. relative strength ordering) is active, producing a DSS sort value for those signals. I did not configure the 2nd part of DSS, which would limit the number of long/short signals.

When I run PortSim, and evaluate those results, I get the same results whether "Use DSS results" is enabled or not. And if I change the PortSim TradeSelection criteria (e.g. BTHR descending vs. ascending) I see the TradeSelection criteria DOES affect the results, whether "Use DSS results" is enabled or not. In fact, it was the only thing that affected the results. I got identical results whether DSS was enabled or not. I then confirmed this by completely disabling DSS in the FocusList ToDoList DSS tab (i.e. no relative strength ordering), re-ran the analysis, and got exactly the same results in PortSim that I had with DSS enabled.

When I ran Jeff's scenario, I found that the "Use DSS Results" checkbox DOES work. But his scenario is limiting the number of trades getting through to PortSim.

The profile I ran, has MANY trades being passed to PortSim. It is almost always fully allocated, so many trades are NOT being taken. You would expect that the DSS sort order would matter. But as I explained above, it had no effect. I'm a little disappointed. I think it would be useful to have the DSS sort order be one of the TradeSelection criteria. But I can probably accomplish that by limiting the number of signals (using DSS part 2) that get passed to PortSim.

Steve

[Edited by Steve Luerman on 2/6/2013 4:06 PM]

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Jim Dean

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Subject : RE: "Use DSS Results" has no effect in PortSim
Posted : 2/6/2013 4:14 PM
Post #27870 - In reply to #27869

Thanks for explanation. Makes sense.

The DSS ordering is apparently confined to limiting signals to within the L/S counts balance.

If you activate the L/S limits, I would presume that there might still be some cases where inadequate funds call for the native PS rules to kick in.

Although I think DSS is a step in the right direction, I've never heard of anyone (other than Nirvana) who tries to "balance" L/S exposure by number of positions in each direction. Afaik, normal portfolio-management directional balancing of stocks is done either by dollars committed to the various positions (for long-hold investors), or by the actual dollars-at-risk = price vs closest stop, times shares (for short-hold traders).

If course with options there are a lot of other ways.

I hope that eventually Nirvana will provide risk-dollars-based balancing. It's the only approach that really makes sense to me.

[Edited by Jim Dean on 2/6/2013 4:16 PM]

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Vinay

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Subject : RE: "Use DSS Results" has no effect in PortSim
Posted : 2/27/2014 4:45 AM
Post #31039 - In reply to #27869

Originally written by Steve Luerman on 2/7/2013 3:04 AM

The profile I ran, has MANY trades being passed to PortSim. It is almost always fully allocated, so many trades are NOT being taken. You would expect that the DSS sort order would matter. But as I explained above, it had no effect. I'm a little disappointed. I think it would be useful to have the DSS sort order be one of the TradeSelection criteria. But I can probably accomplish that by limiting the number of signals (using DSS part 2) that get passed to PortSim.


I also had the same assumption and was initially confused till I came across this post. I also feel that Nirvana should provide DSS sort order as one of the Trade Selection criteria. Naturally when we have lots of signals then we tend to take only the best. So it makes lots of sense to give this option and it will make this feature very powerful.

P.S. Thanks Steve for very detailed write up on this issue. It has cleared many doubts relating to DSS which I had earlier.


[Edited by Vinay on 2/27/2014 5:32 AM]

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Steve Luerman

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Subject : "Use DSS Results" DOES affect PortSim
Posted : 4/25/2014 2:04 PM
Post #31282 - In reply to #31039

Vinay and Jim (and a question for Barry):

I need to retract what I stated at the start of this thread.

Observing how Ed's ELS100 (top 100 most liquid stocks and ETFs) list works so well with the OmniVest strategies, I decided to take another look at DSS, this time using liquidity (AVG(V,20)*AVG(C,20)) to rank many trades being produced by many RTM strategies.

First: The PortSim "Use DSS Results" option DID produce a difference (unlike the testing I did a year ago). And, as expected/hoped, it produced a better return than not using DSS to rank the trades.

Second: But, even with DSS results enabled, the "PortSim Settings -> Trade Selection - Rank Trades By" still affects the results. With DSS ranking enabled, plus Trade Selection-Rank Trades by Advisor Ascending, I got improved results vs not using DSS Results. Then I reversed the Trade Selection criteria to Advisor DESCENDING. And the results changed a little, actually improved slightly, indicating that the DSS rank is not the only factor affecting the ranking in PortSim when enabled. It was a minor change, but I didn't expect any change. I expected either DSS ranking or Trade Selection ranking, but not a combination.

Question for Barry:
If trades are ranked by DSS, then how does Trade Selection perturb that ranking in a PortSim analysis? That is, how do these two different ranking techniques interact in PortSim?

Thanks.

[Edited by Steve Luerman on 4/25/2014 2:10 PM]

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Steve Luerman

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Subject : RE: "Use DSS Results" DOES affect PortSim
Posted : 4/25/2014 3:09 PM
Post #31284 - In reply to #31282

I'm going to amend my last post with some additional input.

In my prior test, I had two lists. One was a subset of the other. I had the subset list selected when analysis was run. But it appears that DSS is ONLY run on the currently selected list, not all the lists in a profile. So, when I went to PortSim, and had "Use DSS results" enabled, and looked at the results in the two lists, I saw very similar resultsĀ (but not identical). When I returned to the Focus List, I saw that DSS had NOT been run on the larger list. That is, only the symbols in the subset list had DSS rankings. So, I think only those DSS ranked symbols were selected in the PortSim analysis.

So...
I just re-ran the analysis of the larger list with DSS ranking active using liquidity for ranking, and then PortSim with and without "Use DSS results" enabled. The results indicate that PortSim does not choose the trades based on their rank order, but rather based on whether they "were ranked or not". That is, those with a rankingĀ (whether hi or lo) are in the bucket for trade selection by "Trade Selection" criteria. So, in Portfolio Simulation, DSS ranking simply makes them available as a potential trade, and the Trade Selection criteria determines the order in which those DSS selected trades are taken. And if no Trade Selection criteria is specified, it ranks by Symbol Ascending order.

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Jim Dean

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Subject : RE: "Use DSS Results" DOES affect PortSim
Posted : 4/25/2014 3:12 PM
Post #31285 - In reply to #31284

Thanks for the update, Steve. I'm not sure that I completely followed it ... but one thing seems clear ... the process has a LOT of things that need to be "remembered" and "checked" to assure that it's working correctly. It needs to be "fool-proofed" somehow so that it's not so easy for us to trip up on one of the details.
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Steve Luerman

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Subject : RE: "Use DSS Results" DOES affect PortSim
Posted : 4/25/2014 3:21 PM
Post #31286 - In reply to #31285

Bottom line:

I've convinced myself that DSS ranking is not useful for PortSim analysis. The DSS order is not used to order the selected trades in Portfolio Simulation.

DSS ranked symbols do appear to be chosen preferentially over non-DSS ranked symbols, but not in their ranked order.

IMHO, this seems like a not quite implemented correctly design. The implementation probably works well enough for those using the market balancing in combo with the DSS ranking, but the DSS ranking by itself is not being taken advantage of in PortSim.
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